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Role of Noise in a Market Model with Stochastic Volatility

Citations

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Cited by:

  1. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
  2. Zhong, Guang-Yan & Li, Hai-Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng & Long, Chao, 2019. "Coherence and anti-coherence resonance of corporation finance," Chaos, Solitons & Fractals, Elsevier, vol. 118(C), pages 376-385.
  3. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  4. Ping, Zhu, 2023. "Analytical equivalent transformation method for nonlinear stochastic dynamics with multiple noises in high dimensions," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  5. Li, Jiang-Cheng & Xu, Yi-Zhen & Tao, Chen & Zhong, Guang-Yan, 2025. "Multi-period impacts and network connectivity of cryptocurrencies to international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 658(C).
  6. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  7. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
  8. Zhou, Wei & Zhong, Guang-Yan & Li, Jiang-Cheng, 2022. "Stability of financial market driven by information delay and liquidity in delay agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  9. Han, Cheng & Wang, Yan & Jiang, Daqing, 2023. "Dynamics analysis of a stochastic HIV model with non-cytolytic cure and Ornstein–Uhlenbeck process," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  10. Kim, Jeong-Hoon & Park, Chang-Rae, 2017. "A multiscale extension of the Margrabe formula under stochastic volatility," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 59-65.
  11. Zhong, Guang-Yan & He, Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng, 2019. "Coherence resonance-like and efficiency of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  12. Jin, Yanfei & Wang, Haotian & Xu, Pengfei, 2023. "Noise-induced enhancement of stability and resonance in a tri-stable system with time-delayed feedback," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
  13. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  14. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
  15. Mondal, Chirodeep & Kesh, Dipak & Mukherjee, Debasis, 2023. "Global stability and bifurcation analysis of an infochemical induced three species discrete-time phytoplankton–zooplankton model," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  16. Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
  17. Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  18. Wu, Jianjun & Xia, Lu, 2024. "Double well stochastic resonance for a class of three-dimensional financial systems," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
  19. Xie, Fengjie & Shen, Xiaoyang & Wang, Siyi, 2025. "Pricing decisions and stability analysis in blockchain-enabled cross-border dual-channel supply chain," Chaos, Solitons & Fractals, Elsevier, vol. 199(P1).
  20. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  21. Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  22. Li, Bo & Chen, Yu, 2025. "Uncertainty-driven portfolio selection via a multi-strategy modified sparrow search algorithm approach," Chaos, Solitons & Fractals, Elsevier, vol. 201(P3).
  23. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  24. Li, Jiangcheng & Zhang, Chunmin & Liu, Jifa & Li, Zhen & Yang, Xuan, 2018. "An application of Mean Escape Time and metapopulation on forestry catastrophe insurance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 312-323.
  25. Koryazhkina, Maria N. & Lebedeva, Albina V. & Malkov, Anton E. & Guselnikova, Polina A. & Khabibulova, Vera A. & Pakhomova, Darina D. & Antonov, Ivan N. & Belov, Alexey I. & Agarkov, Yury Yu. & Mikhay, 2026. "Response of a ZrO2(Y)-memristive device to in vivo neuronal activity with abnormal oscillations," Chaos, Solitons & Fractals, Elsevier, vol. 205(C).
  26. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
  27. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  28. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
  29. Lin, Lifeng & Lin, Tianzhen & Zhang, Ruoqi & Wang, Huiqi, 2023. "Generalized stochastic resonance in a time-delay fractional oscillator with damping fluctuation and signal-modulated noise," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  30. Zhang, Ruoqi & Meng, Lin & Yu, Lei & Shi, Sihong & Wang, Huiqi, 2024. "Collective dynamics of fluctuating–damping coupled oscillators in network structures: Stability, synchronism, and resonant behaviors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 638(C).
  31. Yu, Xingwang & Ma, Yuanlin, 2023. "Noise-induced bistability and noise-enhanced stability of a stochastic model for resource production–consumption under crowding effect and sigmoidal consumption pattern," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  32. Mi, Li-Na & Guo, Yong-Feng & Zhang, Meng & Zhuo, Xiao-Jing, 2023. "Stochastic resonance in gene transcriptional regulatory system driven by Gaussian noise and Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
  33. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
  34. Cohen, Gil, 2026. "The impact of financial markets uncertainty on oil price uncertainty," Chaos, Solitons & Fractals, Elsevier, vol. 206(C).
  35. Alizade, Zahra & Agahi, Hamzeh & Khademloo, Somayeh, 2025. "Fractal analysis of financial markets using Laplace–Mittag-Leffler distributions," Chaos, Solitons & Fractals, Elsevier, vol. 199(P3).
  36. Kırkgöz, Haluk & Kurt, Onur, 2025. "Modeling bitcoin network energy demand: Price-adjusted hybrid deep learning approach to complex time series forecasting," Chaos, Solitons & Fractals, Elsevier, vol. 200(P2).
  37. Kim, Geonwoo & Koo, Eunho, 2016. "Closed-form pricing formula for exchange option with credit risk," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 221-227.
  38. Liu, Wanan & Zou, Yao & Liu, Baokang & Tao, Jiacheng & Lan, Xingyu & Xia, Meng, 2026. "Explainable adaptive ensemble learning with imbalance mitigation for manufacturing sector financial risk warning," Chaos, Solitons & Fractals, Elsevier, vol. 202(P2).
  39. Rao, Feng & Kang, Yun, 2023. "Dynamics of a stochastic prey–predator system with prey refuge, predation fear and its carry-over effects," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  40. Waldhausen, Henry & Griffin, Christopher, 2025. "Binary option market manipulation by influencing belief dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 680(C).
  41. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
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